بررسی عملکرد قیمتی سهام پس از عرضه ثانویه با در نظر گرفتن احساسات سرمایه‌گذار

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار، گروه مدیریت مالی و مهندسی مالی، دانشگاه خوارزمی، تهران، ایران

2 کارشناسی ارشد مدیریت مالی، دانشگاه خوارزمی، تهران، ایران.

چکیده

شرکت‌ها برای توسعه فعالیت‌ها و اجرای طرح‌های خود، به علت محدودیت در سیستم اعتبارات بانکی و پیچیدگی مراحل اخذ مجوز انتشار اوراق قرضه،برای تامین منابع مورد نیاز خود به انتشار سهام جدید روی می‌آورند.در این تحقیق با نظر گرفتن تاثیر احساسات سرمایه‌گذار در زمان اقدام به عرضه ثانویه سهام، عملکرد قیمتی کوتاه‌مدت و بلندمدت سهام پس از عرضه ثانویه سهام و تاثیرات مقطعی و سری زمانی احساسات سرمایه‌گذار بر عملکرد بلندمدت و کوتاه مدت قیمت سهام را بررسی ‌نماییم.با استفاده از مدل بیکر و ورگلر(2007) به برآورد شاخص احساسات در بورس اوراق بهادار تهران اقدام و سپس شرکت‏های نمونه را بر اساس سطح شاخص احساسات ماهانه در ماه افزایش سرمایه به دو دسته پرتفوی احساسات بالا و احساسات پایین دسته‏بندی می‏کنیم. برای بررسی بازده‌های غیرعادی کوتاه‏مدت پس از عرضه ثانویه سهام میانگین بازده‏های مازاد تجمعی (CAR) و برای بازده‌های غیرعادی بلندمدت پس از افزایش سرمایه،میانگین وزنی بازده مازاد دوره خرید-نگهداری (BHAR) استفاده شده است.نتایج با استفاده از داده‌های 101 شرکت از بورس اوراق بهادار تهران در بازه زمانی1391-1398 به دست آمده است.شرکت‌هایی که در دوره احساسات بالا اقدام به افزایش سرمایه کرده‌اند، در کوتاه‌مدت بازدهی غیرعادی مناسب‌تر و در میان‌مدت و بلندمدت بازدهی منفی‌تر و ضعیف‌تری را تجربه می‌کنند.ویژگی‌های شرکتی همچون اندازه، سن و نسبتM/B بر کسب بازدهی غیرعادی پس از عرضه ثانویه و شدت آن تاثیرگذار است.سهامداران با در نظر گرفتن سطح شاخص احساسات بالا و کم در زمان عرضه ثانویه سهام و ویژگی‌های شرکتی می‌توانند نسبت به اتخاذ سیاست سرمایه‌گذاری خرید-فروش یا نگهداری سهام پس از عرضه ثانویه اقدام نمایند.

کلیدواژه‌ها


عنوان مقاله [English]

Investor sentiment and Investing the Stock price performance after SEO

نویسندگان [English]

  • Mohammad Ebrahim Aghababaei 1
  • Maedeh Eskandari 2
1 Assistant Prof., Department of Financial Management and Financial Engineering, Kharazmi University, Tehran, Iran.
2 MSc in Financial Management, Kharazmi University, Tehran, Iran
چکیده [English]

The bank credit system is limited and the bond issuance process is complex. Most firms issue new shares to raise the funds they need to develop their activities and implement their plans.This article details an investigation of the impact of investor sentiment and using market timing at the time of SEO, the short and long-run stock price performance subsequent to SEOs and the cross-sectional and time-series effects of investor sentiments on both short and long-run stock price performance subsequent to SEO events.We used the Baker and Wurgler(2007) model to estimate the sentiment index in the TSE. Next We categorize all sample SEOs into high and low sentiment, according to the level of the sentiment index in the month when the SEO is conducted. we use cumulative abnormal-returns(CARs) to investigate short-run stock price performance and the buy-and-hold returns (BHAR) to examine long-run stock price performance. The data were compiled of 101 firms from different industries of TSE in the period of 1391-1398. Firms conducting SEOs during high sentiment periods experience less severe short-run price drops around the issuance and this effect are stronger for small, young, and high market-to-book ratio firms. firms conducting SEOs during high sentiment periods experience more severe post-issue long-run underperformance and this effect of investor sentiment are stronger for big, older, and low market-to-book ratio firms. By considering sentiment index level around SEOs and the firm's characteristics, investors can adopt the investment policy of selling,-buying or holding shares after the SEO.

کلیدواژه‌ها [English]

  • Sentiment Index
  • Secondary Stock Offering
  • Stock Price Performance
  • Abnormal Return
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